Risk Estimation in Exchange Rate Markets Based on Stochastic Copula Approach
Risk estimation is of great importance in financial risk management. In this study, the risk estimation of the exchange rate portfolio is performed via the stochastic copula approach. This model-based latent process has a parameter that changes over time and thus can model the dependency structure b...
Saved in:
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2022-01-01
|
| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2022/8467691 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|